DETECTING FRACTAL/MULTIFRACTAL AND ASYMMETRIC PROPERTIES IN AN ARTIFICIAL QUOTE-DRIVEN FINANCIAL MARKET

doi:10.1142/S0218348X10004762

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	DETECTING FRACTAL/MULTIFRACTAL AND ASYMMETRIC PROPERTIES IN AN ARTIFICIAL QUOTE-DRIVEN FINANCIAL MARKET
	He, Ling-Yun 1,2; Zheng, Feng 3
	2010-03-01
发表期刊	FRACTALS-COMPLEX GEOMETRY PATTERNS AND SCALING IN NATURE AND SOCIETY
ISSN	0218-348X
卷号	18 期号:1 页码:87-99
摘要	In this paper, we detected the fractal/multifractal and asymmetric properties in a simple financial market model which is an analog of the Ising model. We introduced the virtual market with heterogeneous agents characterized by agents with bounded rationality, by which we mean that agents only have local information, and a market maker who is responsible for market liquidity. To investigate the heterogeneity and psychological factors in real financial market, we designed the parameters of individual expectations of agents to this model. Applying fractal/multifractal and Zipf techniques, we conducted many simulations under different scenarios and then analyzed the generated time series of this virtual market. We acquired some nontrivial findings: first, the virtual price returns generated by our model display fractal and multifractal features; secondly, we found that the price have the asymmetric behaviors; finally, our findings have qualitative similarities with many empirical results, which imply that although our toy model is seemingly simple, it can generate complex dynamics and thus can be a useful tool to investigate complex market behaviors and phenomena.
关键词	Nonlinearity Asymmetric Behaviors Ising Model Heterogeneous Agents Bounded Rationality Quote-Driven Market
DOI	10.1142/S0218348X10004762
语种	英语
资助项目	China Postdoctoral Science Foundation[20090450602] ; XU GUOZHI Postdoctoral Foundation ; Joint Open Young Scholar Science Foundation of CAU NJAU[CN2007010] ; Chinese Universities Scientific Fund[20091-23]
WOS研究方向	Mathematics ; Science & Technology - Other Topics
WOS类目	Mathematics, Interdisciplinary Applications ; Multidisciplinary Sciences
WOS记录号	WOS:000276154600007
出版者	WORLD SCIENTIFIC PUBL CO PTE LTD
引用统计
文献类型	期刊论文
条目标识符	http://ir.amss.ac.cn/handle/2S8OKBNM/9307
专题	中国科学院数学与系统科学研究院
通讯作者	He, Ling-Yun
作者单位	1.China Agr Univ, Coll Econ & Management, Beijing 100083, Peoples R China 2.Chinese Acad Sci, Complex Syst Res Ctr, Acad Math & Syst Sci, Beijing 100080, Peoples R China 3.N China Univ Technol, Coll Management, Beijing 100041, Peoples R China
推荐引用方式 GB/T 7714	He, Ling-Yun,Zheng, Feng. DETECTING FRACTAL/MULTIFRACTAL AND ASYMMETRIC PROPERTIES IN AN ARTIFICIAL QUOTE-DRIVEN FINANCIAL MARKET[J]. FRACTALS-COMPLEX GEOMETRY PATTERNS AND SCALING IN NATURE AND SOCIETY,2010,18(1):87-99.
APA	He, Ling-Yun,&Zheng, Feng.(2010).DETECTING FRACTAL/MULTIFRACTAL AND ASYMMETRIC PROPERTIES IN AN ARTIFICIAL QUOTE-DRIVEN FINANCIAL MARKET.FRACTALS-COMPLEX GEOMETRY PATTERNS AND SCALING IN NATURE AND SOCIETY,18(1),87-99.
MLA	He, Ling-Yun,et al."DETECTING FRACTAL/MULTIFRACTAL AND ASYMMETRIC PROPERTIES IN AN ARTIFICIAL QUOTE-DRIVEN FINANCIAL MARKET".FRACTALS-COMPLEX GEOMETRY PATTERNS AND SCALING IN NATURE AND SOCIETY 18.1(2010):87-99.